Chapter 9 uses the simplifying assumption that all the bonds in the portfolio are valued on a coupon date so that the number of periods to final maturity, *N*, is an integer. To generalize, assume here that the valuation is between coupon payment dates. Let *f* be the fraction of the period that has gone by and (1 – *f*) be the fraction remaining. Note that *f* is equivalent to *t/T* in previous chapters. Here the day-count convention (i.e., actual/actual or 30/360) does not matter so simpler notation is used.

The market value for the portfolio is *MV* and now can include accrued interest. The future cash flows, which include coupon interest and principal redemptions, are summarized by *CF _{n}* for

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